Factors Determining Bank Risk: a European Perspective
نویسندگان
چکیده
This paper investigates the factors affecting bank operational risk and bank equity risk for European banks during 1996 to 2005. Pooled-OLS and panel data analysis is applied to 84 financial institutions across 15 European countries using credit risk, interest rate risk, total equity, systematic risk and idiosyncratic risk. Off-balance sheet activities are positively correlated with all the risk measures except for interest rate risk. Further, bank charter value is positively correlated with total risk and idiosyncratic risk though negatively correlated with credit risk. Uninsured deposits are negatively correlated with systematic risk, suggesting market disciplining effects. Finally, in general we find a nonlinear relationship between bank capital and bank risk. School of Economics, Finance and Marketing, Royal Melbourne Institute of Technology (RMIT University). 239 Bourke Street Level 13, Melbourne, Victoria 3000. Tele:+61(03)99251682, Email: [email protected]
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